nach oben

Journal of Business Ethics

Erschienen in:

01.05.2012

Market Reactions to Increased Reliability of Sustainability Information

verfasst von: Julia Lackmann, Jürgen Ernstberger, Michael Stich

Erschienen in: Journal of Business Ethics | Ausgabe 2/2012

Einloggen

Aktivieren Sie unsere intelligente Suche, um passende Fachinhalte oder Patente zu finden.

search-config

KI-gestützte Suche

Aus

Abstract

This article investigates whether investors consider the reliability of companies’ sustainability information when determining the companies’ market value. Specifically, we examine market reactions (in terms of abnormal returns) to events that increase the reliability of companies’ sustainability information but do not provide markets with additional sustainability information. Controlling for competing effects, we regard companies’ additions to an internationally important sustainability index as such events and consider possible determinants for market reactions. Our results suggest that first, investors take into account the reliability of sustainability information when determining the market value of a company and second, the benefits of increased reliability of sustainability information vary cross-sectionally. More specifically, companies that carry higher risks for investors (e.g., higher systematic investment risk, higher financial leverage, and higher levels of opportunistic management behavior) react more strongly to an increase in the reliability of sustainability information. Finally, we show that the benefits of an increase in the reliability of sustainability information are higher in times of economic uncertainty (e.g., during economic downturns and generally high stock price volatilities).

Vorheriger Artikel Introducing Ethics and Corporate Social Responsibility at Undergraduate Level in the United Arab Emirates: An Experiential Exercise on Website Communication

Nächster Artikel Corporate Social Responsibility as a Vehicle to Reveal the Corporate Identity: A Study Focused on the Websites of Spanish Financial Entities

Sie haben noch keine Lizenz? Dann Informieren Sie sich jetzt über unsere Produkte:

Springer Professional "Wirtschaft+Technik"

Online-Abonnement

Mit Springer Professional "Wirtschaft+Technik" erhalten Sie Zugriff auf:

über 102.000 Bücher
über 537 Zeitschriften

aus folgenden Fachgebieten:

Automobil + Motoren
Bauwesen + Immobilien
Business IT + Informatik
Elektrotechnik + Elektronik
Energie + Nachhaltigkeit
Finance + Banking
Management + Führung
Marketing + Vertrieb
Maschinenbau + Werkstoffe
Versicherung + Risiko

Jetzt Wissensvorsprung sichern!

Jetzt informieren

Springer Professional "Wirtschaft"

Online-Abonnement

Mit Springer Professional "Wirtschaft" erhalten Sie Zugriff auf:

über 67.000 Bücher
über 340 Zeitschriften

aus folgenden Fachgebieten:

Bauwesen + Immobilien
Business IT + Informatik
Finance + Banking
Management + Führung
Marketing + Vertrieb
Versicherung + Risiko

Jetzt Wissensvorsprung sichern!

Jetzt informieren

On August 18, 2010, the DJSI STOXX was renamed the “Dow Jones Sustainability Europe Index” (DJSI Europe).

Please note that our arguments and empirical analyses refer to investors’ behavior, which is influenced by the investors’ perceptions of the reliability of sustainability information and not directly by the characteristics of the sustainability information itself.

In detail: 151 companies were listed when the DJSI STOXX was launched on October 15, 2001. In annual reviews of the DJSI STOXX composition, the following numbers of companies were added to the index: 2002: 57, 2003: 25, 2004: 26, 2005: 25, 2006: 26, 2007: 17, and 2008: 30. In total, 168 companies were deleted from the index over the examination period (2001–2008).

In addition to these data requirements, we assume zero daily abnormal returns when no data are available in the event window.

To avoid further eliminations for our regression analyses, we collect by hand single missing data items to directly calculate discretionary accruals for 59 companies from the annual consolidated reports in accordance with the definition of the Thomson Financial Worldscope database.

We also consider two modifications of this event-study approach. First, we allow for a gap of 10 trading days between the estimation window and the respective event window. Second, we re-perform our analyses using a two-split event window (50 trading days before and after the event window). Both modifications lead to quite identical findings, for the overall market reaction as well as for the cross-sectional analyses.

Unlike Consolandi et al. (2009), we do not analyze the effects on and after the day of the effective change of the index composition.

For an alternative interpretation of the R ² measure, see Morck et al. (2000) and Durnev et al. (2003, 2004).

The event study-specific test statistics developed by Brown and Warner (1980) as well as by Corrado (1989) explicitly take stock returns over the estimation period into account. While the metric proposed by Brown and Warner (1985) is a parametric test statistic, the metric developed by Corrado (1989) is a rank-based non-parametric test statistic. For a discussion of the statistical advantages and attributes of these specific test statistics, see Brown and Warner (1980, 1985) and Corrado and Zivney (1992), Corrado and Truong (2008).

In this paragraph: ***p < 0.01, **p < 0.05, and *p < 0.1.

We note that CAR_i and the interaction term BETA_i · MKTVOLA_i is related by construction. Thus, we cannot ultimately rule out that these findings are technically driven by the definition of variables.

Adams, C., & Zutshi, A. (2004). Corporate social responsibility: Why business should act responsibly and be accountable. Australian Accounting Review, 14(3), 31–39.CrossRef

Ali, A., Hwang, L.-S., & Trombley, M. (2003). Arbitrage risk and the book-to-market anomaly. Journal of Financial Economics, 69(2), 355–373.CrossRef

Ashbaugh-Skaife, H., Gassen, J., & LaFond, R. (2006). Does stock price synchronicity represent firm-specific information? The international evidence. Working paper.

Aupperle, K. E., Carroll, A. B., & Hatfield, J. D. (1985). An empirical examination of the relationship between corporate social responsibility and profitability. Academy of Management Journal, 28(2), 446–463.CrossRef

Baker, J. A., Bowman, F. L., Erwin, G., Gorton, S., Hendershot, D., Leveson, N., et al. (2007). The report of the BP U.S. refineries independent safety review panel. Available at http://www.bp.com/bakerpanelreport/.

Ball, R. (2006). International financial reporting standards (IFRS): Pros and cons for investors, accounting and business research. International Accounting Policy Forum, pp. 5–27.

Beatty, A. L., Ke, B., & Petroni, K. R. (2002). Earnings management to avoid earnings declines across publicly and privately held banks. The Accounting Review, 77(3), 547–570.CrossRef

Beaver, W. (1972). The behavior of security prices and its implications for accounting research (methods). The Accounting Review, 47(4), 407–437.

Becchetti, L., Ciciretti, R., & Hasan, I. (2009). Corporate social responsibility and shareholder’s value: An empirical analysis. Working paper.

Beneish, M. D., & Whaley, R. E. (1996). An anatomy of the “S&P Game”: The effects of changing the rules. The Journal of Finance, 51(5), 1909–1930.CrossRef

Blume, M., & Edelen, R. (2001). On S&P 500 index replication strategies. Working paper.

Bowman, R. G. (1979). The theoretical relationship between systematic risk and financial (accounting) variables. Journal of Finance, 34(3), 617–630.CrossRef

Brammer, S. J., & Pavelin, S. (2006). Corporate reputation and social performance: The importance of fit. Journal of Management Studies, 43(3), 435–455.CrossRef

Brown, S. J., & Warner, J. B. (1980). Measuring securities price performance. Journal of Financial Economics, 8(3), 205–258.CrossRef

Brown, S. J., & Warner, J. B. (1985). Using daily stock returns. Journal of Financial Economics, 14(1), 3–31.CrossRef

Brunnermeier, M., & Pedersen, L. (2009). Market liquidity and funding liquidity. Review of Financial Studies, 22(6), 2201–2238.CrossRef

Burgstrahler, D., & Dichev, I. (1997). Earnings management to avoid earnings decreases and losses. Journal of Accounting and Economics, 24(1), 99–126.CrossRef

Castanias, R. (1983). Bankruptcy risk and optimal capital structure. Journal of Finance, 38(5), 1617–1635.CrossRef

Chen, H., Noronha, G., & Singal, V. (2004). The price response to S&P 500 index additions and deletions: Evidence of asymmetry and a new explanation. Journal of Finance, 59(4), 1901–1929.CrossRef

Cheung, A. (2011). Do stock investors care about corporate sustainability? Evidence from an event study. Journal of Business Ethics, 99(2), 145–165.CrossRef

Clark, N., & Jolly, D. (2008). Société Générale loses $7 billion in trading fraud. The New York Times, January 24, 2008.

Consolandi, C., Jaiswal-Dale, A., Poggiani, E., & Vercelli, A. (2009). Global standards and ethical stock indexes: The case of the Dow Jones sustainability Stoxx index. Journal of Business Ethics, 87(Supplement 1), 185–197.CrossRef

Cormier, D., Ledoux, M.-J., & Magnan, M. (2010). The informational contribution of social and environmental disclosures for investors. Working paper.

Corrado, C. J. (1989). A nonparametric test for abnormal security-price performance in event studies. Journal of Financial Economics, 23(2), 385–395.CrossRef

Corrado, C. J., & Truong, C. (2008). Conducting event studies with Asia-Pacific security market data. Pacific-Basin Finance Journal, 16(5), 493–521.CrossRef

Corrado, C. J., & Zivney, T. L. (1992). The specification and power of the sign test in event study hypothesis tests using daily stock returns. Journal of Financial and Quantitative Analysis, 27(3), 465–478.CrossRef

Curran, M. M., & Moran, D. (2007). Impact of the FTSE4 good index on firm price: An event study. Journal of Environmental Management, 82(4), 529–537.CrossRef

De Bakker, F. G. A., Groenwegen, P., & Den Hond, F. (2005). A bibliometric analysis of 30 years of research and theory on corporate social performance. Business and Society, 44(3), 283–317.CrossRef

Dechow, P., Sloan, R., & Sweeney, A. (1995). Detecting earnings management. The Accounting Review, 70(2), 193–225.

Dechow, P., Sloan, R., & Sweeney, A. (1996). Causes and consequences of earnings manipulations: An analysis of firm subject to enforcement actions by the SEC. Contemporary Accounting Research, 13(1), 1–36.CrossRef

DeFond, M. L., & Park, C. (2001). The reversal of abnormal accruals and the market valuation of earnings surprises. The Accounting Review, 76(3), 375–404.CrossRef

Denis, D., McConnell, J. J., Ovtchinnikov, A. V., & Yu, Y. (2003). S&P 500 index additions and earnings expectations. The Journal of Finance, 58(5), 1821–1840.CrossRef

Derwall, J., & Koedijk, K. (2009). Social responsible fixed-income funds. Journal of Business, Finance and Accounting, 36(1–2), 210–229.

Dilling, P. F. (2008). The effect of the inclusion to the Dow Jones sustainability world index on firm value—An empirical event study. Conference paper.

Durnev, A., Morck, R., & Bernard, Y. (2004). Value-enhancing capital budgeting and firm-specific stock return variation. Journal of Finance, 59(1), 65–105.CrossRef

Durnev, A., Morck, R., Yeung, B., & Zarowin, P. (2003). Does greater firm-specific return variation mean more or less informed stock pricing? Journal of Accounting Research, 41(5), 797–836.CrossRef

EUROSIF. (2010). Available at http://www.eurosif.org/research/eurosif-sri-study/european-sri-study-2010.

Fama, E. F., Fisher, L., Jensen, M. C., & Roll, R. (1969). The adjustment of stock prices to new information. International Economic Review, 10(1), 1–21.CrossRef

Fama, E. F., & French, K. R. (2008). Industry classification. Available at http://mba.tuck.dartmouth.edu/pages/faculty/ken.french.

Fassin, Y. (2009). The stakeholder model refined. Journal of Business Ethics, 84(1), 113–135.CrossRef

Freeman, E. (1984). Strategic management: A stakeholder approach. Boston: Pitman.

Gelb, D. S., & Strawser, J. A. (2001). Corporate social responsibility and financial disclosures: An alternative explanation for increased disclosure. Journal of Business Ethics, 33(1), 1–13.CrossRef

Global Reporting Initiative [GRI]. (2006). Sustainability reporting guidelines (3rd ed.). Amsterdam, The Netherlands.

Godfrey, P. C. (2005). The relationship between corporate philanthropy and shareholder wealth: A risk management perspective. Academy of Management Review, 30(4), 777–798.CrossRef

Godfrey, P. C., Merrill, C. B., & Hansen, J. M. (2009). The relationship between corporate social responsibility and shareholder value: An empirical test of the risk management hypothesis. Strategic Management Journal, 30(4), 425–445.CrossRef

Haroutunian, E., Haroutunian, M., & Haroutunian, A. (2008). Reliability criteria in information theory and statistical hypothesis testing. Foundation and Trends in Communications and Information Theory, 4(2–3), 97–263.

Harris, L., & Gurel, E. (1986). Price and volume effects associated with changes in the S&P 500 list: New evidence for the existence of price pressures. The Journal of Finance, 41(4), 815–829.CrossRef

Hill, N., & Stone, B. K. (1980). Accounting betas, systematic operating risk, and financial leverage: A risk-composition approach to the determinants of systematic risk. Journal of Financial and Quantitative Analysis, 15(3), 595–637.CrossRef

Hurdle, G. J. (1974). Leverage, risk, market structure and profitability. The Review of Economics and Statistics, 56(4), 478–485.CrossRef

Jensen, M. (1972). Capital markets: Theory and evidence. Bell Journal of Economics and Management Science, 3(2), 357–398.CrossRef

Jolliffe, I. T. (1982). A note on the use of principal components in regression. Applied Statistics, 31(3), 300–303.CrossRef

Jones, J. J. (1991). Earnings management during import relief investigations. Journal of Accounting Research, 29(2), 193–228.CrossRef

Kaul, A., Mehrotra, V., & Morck, R. (2000). Demand curves for stocks “Do” slope down: New evidence form an index weights adjustment. The Journal of Finance, 55(2), 893–912.CrossRef

King, A. (2002). How to get started in corporate social responsibility. Financial Management, Oct. 5.

Kothari, S. P., Leone, A. J., & Wasley, C. E. (2005). Performance matched discretionary accrual measures. Journal of Accounting and Economics, 39, 163–197.CrossRef

Lang, M., & Lundholm, R. (1996). Corporate disclosure policy and analyst behavior. The Accounting Review, 71(4), 467–492.

Lintner, J. (1965). The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. Review of Economics and Statistics, 47(1), 13–37.CrossRef

Luo, X., & Bhattacharya, C. B. (2009). The debate over doing good: Corporate social performance, strategic marketing levers, and firm-idiosyncratic risk. Journal of Marketing, 73(6), 198–213.CrossRef

Lynch, A., & Mendenhall, R. (1997). New evidence on stock price effects associated with changes in the S&P 500. Journal of Business, 70, 351–384.CrossRef

MacKinlay, A. C. (1997). Event studies in economics and finance. Journal of Economic Literature, 35(1), 13–39.

Margolis, J. D., & Walsh, J. P. (2003). Misery loves companies: Rethinking social initiatives by business. Administrative Science Quarterly, 48(2), 268–305.CrossRef

McConnell, J. J., & Servaes, H. (1995). Equity ownership and the two faces of debt. Journal of Financial Economics, 39(1), 131–157.CrossRef

Merton, R. K. (1948). The self-fulfilling prophecy. Antioch Review, 8(2), 193–210.CrossRef

Morck, R., Yeung, B., & Yu, W. (2000). The information content of stock markets: Why do emerging markets have synchronous stock price movements? Journal of Financial Economics, 58(1–2), 215–260.CrossRef

Orlitzky, M., Schmidt, F. L., & Rynes, S. L. (2003). Corporate social and financial performance: A metaanalysis. Organizational Studies, 24(3), 403–441.CrossRef

Palmrose, Z.-V., Richardson, V. J., & Scholz, S. (2004). Determinants of market reactions to restatement announcements. Journal of Accounting and Economics, 37(1), 59–89.CrossRef

Peloza, J. (2006). Using corporate social responsibility as insurance for financial performance. California Management Review, 48(2), 52–72.

Posnikoff, J. F. (1997). Disinvestment from South Africa: They did well by doing good. Contemporary Economic Policy, 15(1), 76–86.CrossRef

Roll, R. (1988). R². Journal of Finance, 43(3), 541–566.CrossRef

Schipper, K. (2003). Principles-based accounting standards. Accounting Horizons, 17(1), 61–72.CrossRef

Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance, 19(3), 425–442.CrossRef

Shiller, R. J. (1981). The use of volatility measures in assessing market efficiency. Journal of Finance, 36(2), 291–304.CrossRef

Shleifer, A. (1986). Do demand curves for stocks slope down? The Journal of Finance, 41(3), 579–590.CrossRef

Streim, H. (2000). Die Vermittlung von entscheidungsnützlichen Informationen durch Bilanz und GuV–Ein nicht einlösbares Versprechen der internationalen Standardsetter. Betriebswirtschaftliche Forschung und Praxis, 52(2), 111–131.

Suchman, M. C. (1995). Managing legitimacy: Strategic and institutional approaches. Academy of Management Journal, 20(3), 571–610.

Teoh, S. H., Wazzan, C. P. C., & Welch, I. (1999). The effect of socially activist investment policies on the financial markets: Evidence from South African boycott. Journal of Business, 72(1), 35–89.CrossRef

Teoh, S. H., Yang, Y., & Zhang, Y. (2009). R-square and market efficiency. Working paper.

United Nations World Commission On Environment and Development. (1987). Our common future. Oxford: Oxford University Press.

Van de Velde, E., Vermeir, W., & Corten, F. (2005). Corporate social responsibility and financial performance. Corporate Governance, 5(3), 129–138.CrossRef

Vayanos, D. (2004). Flight to quality, flight to liquidity, and the pricing of risk. Working paper.

Waddock, S. A., & Graves, S. B. (1997). The corporate social performance–financial performance link. Strategic Management Journal, 18(4), 303–319.CrossRef

West, K. (1988). Dividend innovations and stock price volatility. Econometrica, 56(1), 37–61.CrossRef

White, H. (1980). A heteroskedasticity-consistent covariance matrix and a direct test for heteroskedasticity. Econometrica, 48(4), 817–838.CrossRef

Wright, P., & Ferris, S. P. (1997). Agency conflict and corporate strategy: The effect of divestment on corporate value. Strategic Management Journal, 18(1), 77–83.CrossRef

Wurgler, J., & Zhuravskaya, E. (2002). Does arbitrage flatten demand curves for stocks. Journal of Business, 75(4), 583–608.CrossRef

Zhang, X. F. (2006). Information uncertainty and stock returns. Journal of Finance, 61(1), 105–136.CrossRef

Titel: Market Reactions to Increased Reliability of Sustainability Information
verfasst von: Julia Lackmann
Jürgen Ernstberger
Michael Stich
Publikationsdatum: 01.05.2012
Verlag: Springer Netherlands
Erschienen in: Journal of Business Ethics / Ausgabe 2/2012
Print ISSN: 0167-4544
Elektronische ISSN: 1573-0697
DOI: https://doi.org/10.1007/s10551-011-1026-3

Springer Professional

Abstract

Bitte loggen Sie sich ein, um Zugang zu Ihrer Lizenz zu erhalten.

Sie haben noch keine Lizenz? Dann Informieren Sie sich jetzt über unsere Produkte:

Springer Professional "Wirtschaft+Technik"

Springer Professional "Wirtschaft"

Weitere Artikel der Ausgabe 2/2012

Stock Market’s Reaction to Disclosure of Environmental Violations: Evidence from China

Understanding Consumer’s Responses to Enterprise’s Ethical Behaviors: An Investigation in China

Value Orientations as Determinants of Preference for External and Anonymous Whistleblowing

Reflections on Corporate Moral Responsibility and the Problem Solving Technique of Alexander the Great

Does Marketing Activity Contribute to a Society’s Well-Being? The Role of Economic Efficiency

Corporate Social Responsibility as a Vehicle to Reveal the Corporate Identity: A Study Focused on the Websites of Spanish Financial Entities

Premium Partner